TY  - UNPD
A1  - Adams, Zeno
A1  - Füss, Roland
A1  - Gropp, Reint
T1  - Spillover effects among financial institutions: a state-dependent sensitivity value-at-risk approach : [Version September 2012]
T2  - SAFE working paper series ; No. 20
N2  - In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
T3  - SAFE working paper - 20 
KW  - risk spillovers
KW  - state-dependent sensitivity value-at-risk (SDSVaR)
KW  - quantile regression
KW  - financial institutions
KW  - hedge funds
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/30573
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-305737
UR  - http://ssrn.com/abstract=2267853
N1  - First version January 2010 ; This version: September 2012
IS  - Version September 2012
CY  - Frankfurt am Main
ER  -